On an independent and identically distributed mixture bilinear time-series model

DOI10.1111/J.1467-9892.2009.00649.XzbMATH Open1224.62043OpenAlexW2064282308MaRDI QIDQ3077682FDOQ3077682

Authors: Abdelhakim Aknouche, Nadia Rabehi

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00649.x

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zbMATH Keywords

EM algorithm geometric ergodicity second-order stationarity mixture autoregression mixture bilinear model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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On a Mixture Autoregressive Model
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Bilinear Markovian representation and bilinear models
Analytic expressions for predictive distributions in mixture autoregressive models
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A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
An introduction to bispectral analysis and bilinear time series models
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On a Mixture GARCH Time-Series Model
Mixture periodic autoregressive conditional heteroskedastic models
The sample ACF of a simple bilinear process
Mixture periodic autoregressive time series models
Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedastic\-ity
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A note on a simple Markov bilinear stochastic process
A simple multivariate ARCH model specified by random coefficients
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Cited In (8)

Recursive online EM estimation of mixture autoregressions
On an independent-switching periodic autoregressive conditional duration
Minimum distance estimation of Markov-switching bilinear processes
On the non-negative first-order exponential bilinear time series model
On the Markov-switching bilinear processes: stationarity, higher-order moments and \(\beta\)-mixing
Parameter estimation of Markov switching bilinear model using the (EM) algorithm
Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
Ergodicity conditions for a double mixed Poisson autoregression

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